经济政策不确定性与银行贷款损失准备计提

Economic Policy Uncertainty and Bank Loan Loss Provision

银行贷款损失准备计提的顺周期特征加剧金融系统的不稳定,受到学界和业界的广泛关注,监管机构逐步要求银行采取前瞻性的计提策略以应对贷款损失准备的顺周期特征,经济发展越来越受到宏观经济政策不确定性的影响,银行是否考虑当前经济政策不确定性,对贷款损失准备进行前瞻性计提?本文选取2004—2017年中国126家商业银行数据,研究经济政策不确定性对银行贷款损失准备计提的影响。实证分析发现,经济政策不确定性与贷款损失准备计提显著正相关,经济政策不确定性越大,贷款损失准备计提越多,在考虑地级市领导人更替、银行高管更替、宏观经济层面遗漏变量,以及使用工具变量的内生性分析后,结果保持稳健。异质性分析发现,这一效应在上市银行、外资持股比例较高、中小银行中表现更为明显。从银行风险管理角度的机制分析发现,不良贷款越多、风险储备越少的银行,经济政策不确定性增加时,计提的贷款损失准备越多,说明风险预防动机是其主要目的。进一步的分析发现,银行在经济政策不确定性较高时增加计提,有助于稳定银行收益、降低银行破产风险。本文的研究从经济政策不确定性的视角,为中国银行贷款损失准备计提的理论和实践提供了新的解释。

The pro-cyclical feature of loan loss provision(LLP)aggravates instability of the financial system,which has attracted wide attention from academia.Regulators gradually require banks to adopt forward-looking provision strategy to cope with the pro-cyclical feature of LLP.Economy is increasingly affected by economic policy uncertainty(EPU).Will banks take EPU into account when accrualing LLP?This paper uses data from 126 commercial banks in China to study the impact of EPU on LLP.We find that EPU is positively correlated with LLP,banks accrual more LLP,when EPU is higher.Our conclusion is robust after considering missing variables such as local official turnover,bank executives turnover,macro-economic level and after conducting endogenous analysis using instrumental variables.Our heterogeneity analysis finds that this phenomenon is more common in listed banks,banks with large proportion of foreign shareholders,and small and medium banks.This paper analyze the mechanism from the perspective of bank risk management,and find that banks with more non-performing loans and fewer risk reserves have more provision for loan losses when EPU increases,indicating that risk prevention motivation is its main purpose.Further research finds that the withdrawal of LLP under EPU can help banks stabilize their earnings and reduce the risk of bankruptcy.Our research provides a new explanation for the theory and practice of loan loss provision of Chinese banks from the perspective of EPU.